Econometrics, Statistics and Empirical Economics
LecturerProf. Dr. J. Grammig
Aptitudeundergraduate Mathematics I and II and Statistics I and II
LanguageEnglish
Time and PlaceWednesday, 10:15 - 11:45 a.m.
Übungsraum E 04, Mohlstr. 36
Exam120 Minutes
(oral exam possilble)
Credit Points6
Content1. Introduction: Time Series in Economics and Finance
2. Univariate Time Series Modelling (ARMA, GARCH)
3. Multivariate Time Series (Vector Autoregressions and Cointegration)


LiteratureEnders W. (1995): Applied Econometric Time Series, John Wiley and Sons.
Hamilton J.(1994): Time Series Analysis, Princeton University Press.

Practical class

Practical exercises for material covered in lecture "Time Series Analysis"

Date: Wednesday, 12:15 - 13:45 a.m., PC-Labor, Nauklerstr.